Can we use OLS to estimate time series models? a) Derive the OLS estimator o, of the AR(1) model. When the population model is: Yt = P1Yt-1 + et b) Derive the bias of 1. Why is the estimator biased?

Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter10: Sequences, Series, And Probability
Section10.2: Arithmetic Sequences
Problem 68E
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Can we use OLS to estimate time series models?
a) Derive the OLS estimator 6, of the AR(1) model. When the population model is:
Yt = P1Yt-1 + e;
b) Derive the bias of 61. Why is the estimator biased?
Time series econometrics.
Please show steps and reasoning.
Transcribed Image Text:Can we use OLS to estimate time series models? a) Derive the OLS estimator 6, of the AR(1) model. When the population model is: Yt = P1Yt-1 + e; b) Derive the bias of 61. Why is the estimator biased? Time series econometrics. Please show steps and reasoning.
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